OREANDA-NEWS. Fitch Ratings has affirmed FTA Santander Consumer Spain Auto 2012-1 and FTA Santander Consumer Spain Auto 2013-1 as follows:

FTA Santander Consumer Spain Auto 2012-1
EUR121.7m class A notes (ISIN ES0364544009) affirmed at 'A-sf', Outlook Stable

FTA Santander Consumer Spain Auto 2013-1
EUR277.5m class A notes (ISIN ES0367395003) affirmed at 'A+sf', Outlook Stable

Both transactions are securitisations of auto loans originated in Spain by Santander Consumer EFC SA, a wholly-owned and fully integrated subsidiary of Santander Consumer Finance (SCF, A-/Stable/F2) whose ultimate parent is Banco Santander S.A. (A-/Stable/F2).

The rating action takes into account a modification of the transaction documentation with respect to the reserve fund of both deals that the originator/SCF is currently looking to implement in coming days. According to the modification, the reserve fund amounts will be reduced to EUR22.5m from EUR50m in 2012-1 and to EUR23.9m from EUR55m in 2013-1.

KEY RATING DRIVERS

Rating Capped by Counterparty Exposure
The class A note rating of series 2012-1 is limited by the exposure to SCF as the holder of the account bank. The documentation sets the counterparty rating trigger at 'BBB', which in our view only supports a two-notch uplift. The counterparty trigger on the account bank for the class A notes of series 2013-1, also held at SCF, is set at 'BBB+'/'F2', which constrains the rating of the notes to the 'Asf' category, according to Fitch's counterparty criteria.

In both cases, the exposure to the account bank is larger than usual as it holds retained collections of up to 20% and 8% of the collateral balance respectively, due to a principal retention feature.

Credit Enhancement Build-up
Credit enhancement for the class A notes in both series has increased as the transactions have gradually deleveraged. Consequently, current credit enhancement of the class A notes in both series is able to support the highest achievable rating for Spanish SF transactions of 'AA+sf'. These results take into consideration the proposed reserve fund reduction.

Robust Performance
Cumulative defaults over initial collateral balance amount to 1.1% for 2012-1 and 0.3% for 2013-1, while 30d+ delinquencies over outstanding collateral balance amount to 3% and 2.5%, respectively. Fitch believes that the strong performance observed is representative of lifetime performance as a considerable portion of the assets of both deals has already amortised, to 33% for 2012-1 and 58% for 2013-1.

Revised Expectations
Fitch has revised its assumptions for lifetime defaults, defined as 360d+, to 1.9% and 2% of the initial balance for 2012-1 and 2013-1, respectively. These base cases have been derived assuming forward looking quarterly defaults per period of 0.4% of the outstanding balance (or 1.6% annualised). This assumption has been derived from the observed strong performance and also takes into consideration the arrears profile and a potential scenario of back-loaded defaults. In respect to recoveries, Fitch expects recoveries from new defaults to reach 30% in both deals in light of the performance observed and recovery vintages of up to 2014.

Fitch notes that the default and recovery base cases differ substantially from the initial base cases, not only because of the strong observed performance but also because our revised expectations refer to the 360d+ transaction default definition, while initial base cases were set for a default definition of 90d+. The default multiples applied in the analysis for both transactions have been increased to 6x at the 'AA+sf' rating level to cater for the longer default definition.

RATING SENSITIVITIES

Fitch believes the class A notes' ratings of both series are able to absorb large variations to our base case credit assumptions. This is because the ratings are capped by counterparty exposures.

FTA Santander Consumer Spain Auto 2012-1:
Expected impact upon the note rating of increased defaults and reduced recoveries (class A):
Current Rating: 'A-sf'
Increase base case default by 15%: 'A-sf'
Increase base case default by 25%: 'A-sf'
Decrease base case recovery by 15%: 'A-sf'
Decrease base case recovery by 25%: 'A-sf'
Increase base case default by 15%; reduce base case recovery by 15%: 'A-sf'
Increase base case default by 25%; reduce base case recovery by 25%: 'A-sf'

FTA Santander Consumer Spain Auto 2013-1:
Expected impact upon the note rating of increased defaults and reduced recoveries (class A):
Current Rating: 'A+sf'
Increase base case default by 15%: 'A+sf'
Increase base case default by 25%: 'A+sf'
Decrease base case recovery by 15%: 'A+sf'
Decrease base case recovery by 25%: 'A+sf'
Increase base case default by 15%; reduce base case recovery by 15%: 'A+sf'
Increase base case default by 25%; reduce base case recovery by 25%: 'A+sf'

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by the European Data Warehouse as of end-August 2015 (2012-1) and end-June 2015 (2013-1)
-Transaction reporting provided by Santander de Titulizacion as of end-August 2015 (2012-1) and end-June 2015 (2013-1)
-Servicer's procedures review as of end-September 2014

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see FTA, Santander Consumer Spain Auto 2012-1 - Appendix, dated November 2012 and FTA, Santander Consumer Spain Auto 2013-1 - Appendix dated December 2013 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.